Article by RCM Alternatives
Don’t look now, but up there near the top of the asset class scoreboard so far in January is none other than Managed Futures, with the SocGen CTA Index up around 6% for the month. That would make it the best monthly performance since it gained +8.85% in December 2000. And all of this while stocks scream higher on the year, proving once again that Managed Futures holds a non-correlation to equities. Of course, an index of the largest CTAs isn’t necessarily indicative of the entire asset class, so how are some of the smaller funds doing?
Very well. There are thousands of programs in our database, and a month like this lets is a great way to highlight some lesser known managers. Here is the performance of a couple managers (pre-fees) that have stood out to us so far in January:
ReSolve Asset Management – Adaptive Asset Allocation (QEP) – +16%
Attain Portfolio Advisors – Covenant Total Portfolio Fund – +9.1%
Attain Portfolio Advisors – Short Term Fund – +6.70%
Eamon Capital – Zephyr – +5.05%
So where is the performance coming from? For starters, it seems there are trends in the futures markets that are persisting longer that just a couple weeks. WTI has been slowly moving up in prices over the last six months, up about 45% since July as it now closes in on $70 a barrel. Most of the managed futures programs missed out on the U.S. Dollars downtrend in 2017, but it seems the dollar’s down-slide has continued into 2018 pushing trends in the crosses with other currencies. And the unnaturally cold weather through most of the U.S. has sent Natural Gas flying, up 34% in one month (remember commodities revolve around seasons).
It’s been long enough since we’ve seen performance like that, that we were worried we might not ever see it again – with all those “trend following’s dead pieces” about there being too much money, HFTs scalping away profits, and so forth. But, this is classic Managed Futures. Taking hold of long term trends and grabbing outliers after a sustained period of level performance. Although, these days the asset class includes many different strategy sectors such as volatility, trend following, short term systematic, multi strategy, etc. To read about these strategies and how they performed in 2017, check out our Managed Futures / Global Macro 2017 Strategy Review. And stay tuned for our 2018 Outlook later this week.
